Key market performance drivers - momentuminv.co.za · 7 Oil & Gas Producers Basic Materials 0.00%...

Key market performance drivers

Monthly charts to 31 December 2018

Market concentrationOne-year Capped SWIX contributions ending December 2018

Source: StatPro, Power BI and Momentum Investments

Active index analysis One-year rolling active to November* 2018

The median of the active equity investment managers underperformed the SWIX/Capped SWIX composite benchmark (SWIX until 31 October 2017 and Capped SWIX thereafter)Source: Alexander Forbes SA Equity Manager Watch™, INET BFA and Momentum Investments

* Lagged by one month due to availability of data

-50%

50%

150%

250%

350%

450%

550%

650%

750%

850%

950%

-15%

-10%

-5%

0%

5%

10%

15%

Nov-05 Nov-07 Nov-09 Nov-11 Nov-13 Nov-15 Nov-17

Active Equity managers - SWIX/Capped SWIX (12m rolling)Active Equity Managers CumulativeSWIX/Capped SWIX Cumulative

Active outperforms

Active underperforms

Active versus tracker: CashOne-year rolling average to November* 2018

The median of the active money market investment managers outperformed the SteFISource: Alexander Forbes SA Money Market Manager Watch™, INET BFA and Momentum Investments


-25%

25%

75%

125%

175%

225%

-5%

0%

5%

10%

15%

Nov-07 Nov-09 Nov-11 Nov-13 Nov-15 Nov-17

Active Cash managers - STeFI (12m rolling) Active Cash Managers CumulativeSTeFI Cumulative

Active outperforms


Active versus tracker: BondsOne-year rolling average to November* 2018

Source: Alexander Forbes SA Bond Manager Watch™, INET BFA and Momentum Investments

The median of the active bond investment managers outperformed the ALBI* Lagged by one month due to availability of data

-50%

0%

50%

100%

150%

200%

250%

-15%

-10%

-5%

0%

5%

10%

15%

Nov-07 Nov-09 Nov-11 Nov-13 Nov-15 Nov-17Active Bond managers - ALBI (12m rolling) Active Bond Managers CumulativeALBI Cumulative

Active outperforms


Active versus tracker: PropertyOne-year rolling average to November* 2018

Source: Alexander Forbes SA Property Manager Watch™, INET BFA and Momentum Investments

The median of the active property investment managers outperformed the SAPY


-50%

150%

350%

550%

750%

950%

1150%

1350%

1550%

-15%

-10%

-5%

0%

5%

10%

15%

Nov-05 Nov-07 Nov-09 Nov-11 Nov-13 Nov-15 Nov-17

Active Property managers - SAPY (12m rolling) Active Property Managers CumulativeSAPY Cumulative

Active outperforms


Style returns for South AfricaData to December 2018

Momentum and Size outperformed and Quality underperformed for the one-year period.

Source: FactSet, Momentum Global Investment Management and Momentum Investments

ZAR Styles One month to December 2018

Three months to December 2018

One year to December 2018

Three years to December 2018

Five years to December 2018

Ten years to December 2018

Twenty years to December 2018

Valu

e

Book to Price -2.76 -6.67 -6.67 3.73 -1.42 -3.08 2.27

Dividend Yield -2.12 -5.39 -5.39 1.01 -0.37 0.16 4.87

Earnings Yield 0.53 -2.04 -2.04 2.30 2.16 0.33 3.04

Cash Flow Yield 3.25 2.64 2.64 15.75 5.50 2.07 4.22

Sales to Price -0.81 0.38 0.38 4.76 -1.59 -3.15 3.32

Qua

lity

ROE 0.41 0.28 0.28 0.37 0.61 1.23 -1.20

ROIC LT -1.82 -6.44 -6.44 -2.51 -3.01 0.21 -1.97

Income to Sales -1.24 -4.12 -4.12 -1.29 1.47 1.88 -1.78

Low market beta -0.01 -0.12 -0.12 -1.47 0.64 -0.91 1.51

Low Debt/Equity -0.55 -2.39 -2.39 -1.45 -2.39 -2.21 -1.70

EBIT Margin Stability -3.58 -2.41 -2.41 -3.92 -0.59 3.19 2.58

Gro

wth Earnings Growth 0.85 -1.86 -1.86 2.46 5.63 1.30 -2.18

Sales Growth -0.16 -0.95 -0.95 -4.81 -2.20 -0.71 -4.1412M Earning Growth 3.81 -2.00 -2.00 -5.12 -3.79 -2.82 3.02

Mom

entu

m FY1 Earnings Revisions 5.91 2.52 2.52 4.86 8.12 8.24 9.89Short Term Momentum 2.21 -0.60 -0.60 3.77 4.67 0.06 1.80Medium Term Momentum 0.93 -0.23 -0.23 -6.61 1.69 3.58 7.15

Size Size 2.44 2.52 2.52 -0.65 0.31 -0.27 0.60

MSCI developed and emerging marketsOne year to December 2018

Source: INET BFA, MSCI and Momentum Investments

60

70

80

90

100

110

120

31-Dec-17 28-Feb-18 30-Apr-18 30-Jun-18 31-Aug-18 31-Oct-18 31-Dec-18

MSCI Emerging Markets (USD) MSCI Developed Markets (USD) Capped SWIX (USD)

One year to December 2018MSCI EM = -16.6% MSCI Dev = -10.4% Capped SWIX USD = -23.7%

Three months to December 2018MSCI EM = -7.8%

MSCI Dev = -13.7%Capped SWIX USD = -5.3%

SA 10-year bond yieldsTen years to December 2018

Source: INET BFA and Momentum Investments

6

7

8

9

10

11

Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

SA 10 year bond yield

Yield of R197 (inflation-linked bond)Ten years to December 2018


0

0.5

1

1.5

2

2.5

3

3.5

Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

R 197

FTSE/JSE sectorsOne year to December 2018


55

65

75

85

95

105

115

125

135

31-Dec-17 31-Mar-18 30-Jun-18 30-Sep-18 31-Dec-18

Resources Financials Industrials

One year to December 2018Resources = 15.5% Financials = -8.7% Industrials = -17.5%

Three months to December 2018Resources = -4.5%Financials = -2.1%Industrials = -6.5%

FTSE/JSE sectorsRolling three years to December 2018


-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

Resources Financials Industrials

FTSE/JSE sectorsDecomposed

Source: Barra, Deutsche Securities and Momentum Investments

KeyResourcesFinancialsIndustrials

Three months to December 2018

1 Automobiles & Parts Consumer Goods 39.65% 18 Media Consumer Services -5.22%

2 Fixed-line Telecommunications Telecommunications 25.05% 19 Electronic & Electrical Equipment Industrials -6.82%

3 General Retailers Consumer Services 5.94% 20 Financial Services Financials -8.36%

4 Mining Basic Materials 5.83% 21 Real Estate Investment & Services Financials -8.38%

5 Mobile Telecommunications Telecommunications 3.66% 22 Non-life Insurance Financials -9.90%

6 Software & Computer Services Technology 3.00% 23 Construction & Materials Industrials -10.76%

7 Banks Financials 2.53% 24 Oil & Gas Producers Basic Materials -10.89%

8 Travel & Leisure Travel & Leisure 2.39% 25 Industrial Metals & Mining Basic Materials -11.00%

9 General Industrials Industrials 2.01% 26 Forestry & Paper Basic Materials -16.10%

10 Industrial Engineering Industrials 0.33% 27 Industrial Transportation Industrials -16.22%

11 Life Insurance Financials -0.29% 28 Equity Investment Instruments Financials -16.48%

12 Healthcare Equipment & Service Healthcare -0.58% 29 Pharmaceuticals & Biotechnology Healthcare -19.29%

13 Food & Drug Retailers Consumer Services -0.80% 30 Personal Goods Consumer Goods -19.32%

14 Beverages Consumer Goods -2.23% 31 Chemicals Basic Materials -22.33%

15 Food Producers Consumer Goods -4.11% 32 Household Goods & Home Construction Consumer Goods -25.22%

16 Support Services Industrials -4.26% 33 Tobacco Consumer Goods -27.35%

17 Real Estate Investment Trusts Financials -4.76%

FTSE/JSE sectorsDecomposed

Source: Barra, Deutsche Securities and Momentum Investments

KeyResourcesFinancialsIndustrials

One year to December 2018

1 Fixed-line Telecommunications Telecommunications 40.66% 18 Financial Services Financials -11.84%

2 Mining Basic Materials 16.48% 19 Healthcare Equipment & Service Healthcare -12.10%

3 Non-life Insurance Financials 14.49% 20 General Industrials Industrials -12.32%

4 Electronic & Electrical Equipment Industrials 4.47% 21 Personal Goods Consumer Goods -14.89%

5 Automobiles & Parts Consumer Goods 0.94% 22 Real Estate Investment Trusts Financials -15.44%

6 Forestry & Paper Basic Materials 0.92% 23 Media Consumer Services -16.09%

7 Oil & Gas Producers Basic Materials 0.00% 24 Industrial Metals & Mining Basic Materials -17.71%

8 Beverages Consumer Goods 0.00% 25 Equity Investment Instruments Financials -19.91%

9 Industrial Transportation Industrials 0.00% 26 Real Estate Investment & Services Financials -23.39%

10 Support Services Industrials 0.00% 27 Mobile Telecommunications Telecommunications -24.86%

11 Chemicals Basic Materials -0.19% 28 Industrial Engineering Industrials -27.01%

12 Banks Financials -0.20% 29 Food Producers Consumer Goods -28.03%

13 Life Insurance Financials -2.09% 30 Software & Computer Services Technology -37.78%

14 Travel & Leisure Travel & Leisure -3.50% 31 Tobacco Consumer Goods -40.06%

15 Food & Drug Retailers Consumer Services -5.90% 32 Pharmaceuticals & Biotechnology Healthcare -49.26%

16 Construction & Materials Industrials -6.13% 33 Household Goods & Home Construction Consumer Goods -63.02%

17 General Retailers Consumer Services -7.29%

FTSE/JSE market caps One year to December 2018


80

85

90

95

100

105

110

115


SWIX 40 Mid Cap Small Cap

One year to December 2018SWIX 40 = -12.1%Mid Cap = -9.7%Small Cap = -14.6%

Three months to December 2018SWIX 40 = -4.6%

Mid Cap = 2.7%Small Cap = -7.3%

Local asset classesThree months to December 2018


90

92

94

96

98

100

102

104

30-Sep-18 31-Oct-18 30-Nov-18 31-Dec-18

Capped SWIX ALBI STeFI SA Listed Property ILB

1.8%

-3.9%

3.1%

-3.8%

0.2%

Global asset classesThree months to December 2018


80828486889092949698

100102104106108110

30-Sep-18 31-Oct-18 30-Nov-18 31-Dec-18

Global Bonds Global Property Global ILB Global Equity USD/ZAR

-12.9%

0.4%

3.3%

-3.7%

1.6%

Local asset classesOne year to December 2018


* CPI lagged by one month due to availability of data

70

75

80

85

90

95

100

105

110

115

120


Capped SWIX ALBI STeFI SA Listed Property ILB CPI

5.2%

0.0%

7.2%

-9.1%

7.7%

-25.3%

Global asset classesOne year to December 2018


80

85

90

95

100

105

110

115

120

125

130

135



11.9%15.7%

11.2%

4.5%

16.7%

Local asset classesFive years to December 2018



85

105

125

145

165

185

Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

Capped SWIX ALBI STeFI SA Listed Property ILB CPI

5.2%5.5%6.8%6.6%

8.4%7.2%

Global asset classesFive years to December 2018


80

120

160

200



6.4%5.6%

10.7%

8.6%

5.1%


Asset classesTen years to December 2018

For the 10-year period to December 2018, the SWIX/Capped SWIX composite, SA Listed Property and Global Property outperformed.


40

90

140

190

240

290

340

390

440

Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18Global Bonds SWIX/Capped SWIX ALBISTeFI SA Listed Property USD/ZARILB CPI Global Equity

5.3%

7.5%6.6%

13.2%

5.5%

3.6%

7.9%

12.2%12.2%


Exchange rates One year to December 2018

8

10

12

14

16

18

20

22

24


Exc

hang

e ra

te

Sterling-Rand Euro-Rand Dollar-Rand

9.7%

11.3%

16.7%

Three months to December 2018:

Sterling-Rand: -1.1%Euro-Rand: 0.0%Dollar-Rand: 1.6%


Gold (rands), FTSE/JSE SWIX, CPI, SteFI One-year rolling returns to December 2018


-40%

-20%

0%

20%

40%

60%

80%


Gold (ZAR) CPI SteFI SWIX

Source: INET BFA, FT.com and Momentum Investments

CommoditiesThree months to December 2018

All returns are in dollar terms

50556065707580859095

100105110115120125

30-Sep-18 31-Oct-18 30-Nov-18 31-Dec-18

Brent Spot (Oil) GoldIron CopperPalladium PlatinumReuters/Jeffries CRB Commodities

9.1%

-2.0%

17.6%

3.3%

-13.6%

-35.9%

-3.4%

Source: INET BFA, FT.com and Momentum Investments

CommoditiesOne year to December 2018

All returns are in dollar terms

70

80

90

100

110

120

130

140


Brent Spot (Oil) GoldIron CopperPalladium PlatinumReuters/Jeffries CRB Commodities

15.1%

-0.6%

18.4%

-1.5%

-10.7%

-18.2%-16.7%


SAVI-VIX Since December 2007 to December 2018

5

15

25

35

45

55

65

75

85

10

15

20

25

30

35

40

45

50

55

60

Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

VIX

SAVI

SAVI VIX

Financial / European debt

crisis (Sovereign

debt concerns)S&P

downgrade US debt

Uncertainty around US rate hikes

BrexitHigher than

expected US inflation


Foreign transactions2014 to 2018

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-40 000

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Dec-14 Dec-15 Dec-16 Dec-17 Dec-18

R(m

)

Foreign Transactions Bonds Foreign Transactions EquitiesRand/USDollar Exchange Rate


Cumulative foreign transaction equities2013 to 2018

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Cumulative foreign transaction bonds2013 to 2018

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2013 2014 2015 2016 2017 2018

Disclaimer

Key market performance drivers - momentuminv.co.za · 7 Oil & Gas Producers Basic Materials 0.00%...

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